Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0202
Annualized Std Dev 0.2332
Annualized Sharpe (Rf=0%) -0.0867

Row

Daily Return Statistics

Close
Observations 4503.0000
NAs 1.0000
Minimum -0.2365
Quartile 1 -0.0047
Median 0.0006
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0056
Maximum 0.2065
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0147
Skewness -0.7584
Kurtosis 48.9587

Downside Risk

Close
Semi Deviation 0.0109
Gain Deviation 0.0112
Loss Deviation 0.0135
Downside Deviation (MAR=210%) 0.0151
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.7263
Historical VaR (95%) -0.0176
Historical ES (95%) -0.0347
Modified VaR (95%) -0.0126
Modified ES (95%) -0.0126
From Trough To Depth Length To Trough Recovery
2007-02-12 2008-12-15 NA -0.7263 3552 466 NA
2004-01-13 2004-05-10 2006-09-22 -0.1823 680 82 598
2003-05-29 2003-08-18 2003-11-03 -0.1134 111 57 54
2006-09-25 2006-11-13 2006-11-29 -0.0442 47 36 11
2006-12-22 2007-01-12 2007-02-05 -0.0418 28 13 15

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA 0.2 -0.4 0 0.9 1.2 1.6 0.1 1.1 -0.4 4.2
2004 0.6 1.1 -0.4 -1.6 0.6 0.6 0.2 1 1.3 1.3 1.1 -0.2 5.7
2005 1.1 0 -0.4 -0.4 0.4 1.5 0 1.2 0.2 0 -0.4 0.4 3.8
2006 0.5 0.5 -0.5 0.6 1.1 -0.2 0.4 0.5 0.2 -0.2 0.5 0.6 4.1
2007 0.3 -0.3 0.2 -0.1 0.5 0.3 -3.6 1.5 0.8 -0.5 2.6 2.5 4.1
2008 1.5 -1.7 2.1 -0.2 0 -0.4 1.1 0.3 -1.1 5.8 -7.7 7.7 6.7
2009 -2.4 -5.3 2.6 7.9 2.8 1 0.7 -1.7 -0.9 -3.1 1.2 -0.1 2
2010 1.2 0.6 0.1 -0.2 -0.4 -1.7 -0.1 0.7 0.9 0.1 0.3 0.2 1.7
2011 1.1 0 1.4 0.2 -0.9 1.1 0.6 -0.7 -1.7 -2 -0.9 -0.3 -2.3
2012 0.9 1 0.9 0.3 -3 0.3 0.9 0.6 0.5 0.2 -0.2 1.4 3.8
2013 -0.2 -0.6 -0.7 -0.1 -2 0.7 0.7 0.3 0.3 -0.2 0.7 -0.1 -1.2
2014 -0.3 0.1 0.6 0.8 0.6 0.2 0.1 0.2 -0.5 0.1 -1.6 1 1.4
2015 -1.1 0 -0.9 0.5 0.2 1.1 0.3 -1 -0.8 0.4 1.5 -0.3 -0.2
2016 0.7 1.8 0.2 -0.6 0.5 0.5 -0.2 0.1 0.2 -0.8 -1 -0.1 1.3
2017 1.4 0.6 1 1.2 0.1 -0.2 -0.3 0.4 0.4 -0.1 0.1 0.4 5.2
2018 -0.8 -1.2 0.5 -0.1 1.2 0.9 0 0.2 1 2.4 0.6 0 4.5
2019 0.6 0.3 1 0.8 -1.3 -0.7 -0.6 0 -0.5 0 0.7 0.8 1.1
2020 -0.5 1.6 -6.3 -2.3 1.3 0.2 -0.6 0.2 1.1 -1.4 -0.6 0 -7.3
2021 1.6 2 0.4 NA NA NA NA NA NA NA NA NA 4.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-04-30  25.0 SPY    91.9  0.0013 -0.00290   0.0846   0.0628   -0.148   -0.354       NA <NA>     NA    NA       NA
2 2003-05-01  25.1 SPY    91.9 -0.0001  0.0059    0.0681   0.0885   -0.158   -0.380       NA <NA>     NA    NA       NA
3 2003-05-02  25.0 SPY    93.2  0.0143  0.033     0.0578   0.0831   -0.143   -0.364       NA <NA>     NA    NA       NA
4 2003-05-05  25.0 SPY    93.0 -0.0019  0.0135    0.0608   0.0789   -0.135   -0.363       NA <NA>     NA    NA       NA
5 2003-05-06  25.0 SPY    93.9  0.0095  0.0231    0.0645   0.0999   -0.110   -0.353       NA <NA>     NA    NA       NA
6 2003-05-07  25.0 SPY    93.4 -0.0055  0.0161    0.0606   0.101    -0.111   -0.365       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart